System and method for displaying and/or analyzing a limit order book

ABSTRACT

Various systems and methods for determining information about limit orders is provided. Data regarding a plurality of limit orders entered onto an electronic market is received and stored. For each of a subset of the plurality of limit orders, a market distance is determined. The market distance comprises the difference between the price of the respective limit order and a market price. A weighting of the respective limit order is determined based at least on the determined market distance for the respective limit order. One or more market indicators is determined based at least in part on the weighting of each of the at least two limit orders. The one or more market indicators are caused to be displayed in a graphical user interface.

RELATED APPLICATIONS

This application is a continuation of U.S. application Ser. No.12/395,603 filed Feb. 27, 2009 now U.S. Pat. No. 8,069,108, which is adivisional application of U.S. application Ser. No. 11/189,329 filedJul. 26, 2005 (now U.S. Pat. No. 7,933,828, issued Apr. 26, 2011), thedisclosures of which are incorporated herein by reference in theirentireties.

TECHNICAL FIELD OF THE INVENTION

This invention relates in general to trading markets and, moreparticularly, to a system and method for displaying and/or analyzing alimit order book.

BACKGROUND OF THE INVENTION

In recent years, electronic trading systems have gained a widespreadacceptance for trading items. For example, electronic trading systemshave been created which facilitate the trading of financial instrumentssuch as stocks, bonds, currency, futures, or other suitable financialinstruments.

Many of these electronic trading systems use a bid/offer process inwhich bids and offers are submitted to the systems by a passive side.These bids and offers are hit and lifted (or taken) by an aggressiveside. For example, a passive trader may submit a “bid” to buy aparticular number of 30 year U.S. Treasury Bonds at a given price. Inresponse to such a bid, an aggressive trader may submit a “hit” in orderto indicate a willingness to sell bonds to the first trader at the givenprice. Alternatively, a passive side trader may submit an “offer” tosell a particular number of the bonds at the given price, and then theaggressive side trader may submit a “lift” (or “take”) in response tothe offer to indicate a willingness to buy bonds from the passive sidetrader at the given price. In such trading systems, the bid, the offer,the hit, and the lift (or take) may be collectively known as “orders.”Thus, when a trader submits a bit, the trader is said to be submittingan order.

SUMMARY OF THE INVENTION

In accordance with the present invention, systems and methods fordisplaying and/or analyzing a limit order book are provided.

According to one embodiment, a method of generating a display of a limitorder book is provided. Data regarding a plurality of limit ordersentered onto an electronic market is received and recorded, at leasttemporarily. The data regarding each limit order includes a price and atime associated with that limit order. Based on the received data, agraphical display is generated that indicates, for each recorded limitorder entered into the electronic market within a period of time, theprice and the time associated with that limit order. The priceassociated with each limit order is indicated by a first axis of thegraphical display and the time associated with each limit order isindicated by a second axis of the graphical display. The graphicaldisplay may be displayed using an electronic display device.

According to another embodiment, a method of analyzing an electroniclimit order book is provided. Data regarding a plurality of limit ordersentered onto an electronic market is received and recorded, at leasttemporarily. The data regarding each limit order includes a price and atime associated with that limit order. One or more market indicatorsregarding the state of the electronic market may be periodicallycalculated. Each of the periodic calculations may include identifying asubset of limit orders for that periodic calculation; determining amarket distance for each of the subset of limit orders, the marketdistance for each limit order comprising the difference between theprice of that limit order and a market price; weighting each of thesubset of limit orders based at least on the determined market distancefor that limit order; and calculating the one or more market indicatorsbased at least on the weighting of each of the subset of limit orders.The one or more periodically calculated market indicators may bedisplayed in a graphical user interface.

Various embodiments of the present invention may benefit from numerousadvantages. It should be noted that one or more embodiments may benefitfrom some, none, or all of the advantages discussed below.

One advantage of certain embodiments of the invention is that systemsand methods may be is provided for displaying a limit order book of anelectronic trading exchange in a manner that may be used by traders tomake trading decisions. For example, the system may record andgraphically display each bid and offer (and/or other limit orders)entered onto an electronic trading exchange for a particular productover a particular period of time. In some embodiments, the graphicaldisplay may be updated substantially in real time. The graphical displaymay allow a trader or other user to visualize various characteristics ofthe market environment, such as the number, size and/or density of bidsand/or offers are various prices over time. Thus, the trader may be ableto recognize trends in the market, such as buying pressure or sellingpressure, for example, and making trading decisions accordingly.

In some embodiments, the graphical display may indicate outstandingunsatisfied supply and demand and/or how aggressive traders are or werein submitting orders. This information may indicate support and/orresistance levels in the market, which information the trader can use toevaluate the probability of a market trend in price and/orconsolidation.

Another advantage of certain embodiments of the invention is that asystem may be provided for analyzing a limit order book of an electronictrading exchange for a particular product to use various algorithms toperiodically calculate one or more market indicators regarding the stateof the limit order book. Such analysis may include weighting each limitorder based on the distance of that order's price from a market price,such as the price of the best bid or offer on the market or the price ofa recent trade, for example. In some embodiments, the system mayperiodically calculate a net market score that may provide a quicksummary (e.g., a single number) expressing the extent of buying pressureor selling pressure currently in the market, for example. The net marketscore may be displayed to the trader, either in connection with orseparate from the display of the limit order book discussed above, andmay be updated periodically. The net market score and/or other types ofmarket indicators calculated by the system may be used by a trader formaking trading decisions.

In some embodiments, a trader may use the system described herein toidentify whether/when an imbalance exists between supply and demand atthe current price level. This may be shown via a graphical display andmay also be measured using various algorithms to periodically calculateone, or more market indicators. The graphical display may indicate theexistence of a sparsity of orders in the market, which may indicate alack of support/buyers (or resistance/sellers). A trader viewing thegraphical display and/or market indicators may be able to anticipatemarket turning points as he or she sees the emergence of bids/offers atone or more given price levels. Multiple orders entered onto the marketat a given price level may be displayed as increasing density on thegraphical display, as many points on the chart may be clusteredtogether.

In addition, the graphical display may indicate the aggressiveness ofeach side of the market based on how close orders are placed to the“market price,” or the price at which trades were most recentlyexecuted. Weighting algorithms may be used to quantify this informationin the form of various market indicators. In addition, the graphicaldisplay may indicate when market participants become more or lessaggressive as shown by increasing/decreasing density of orders at agiven price level.

Also, because the graphical display may show outstanding bids and offersnot at the best, or market, price, the display may indicate theexistence of latent demand or supply in the market. Such latent demandmay be likely to serve as a supporting bid that will continue to restbelow the market or may drive the market higher as buyers chase themarket upward. Similarly, latent supply may be likely to serve asresistance that will continue to rest above the market or may drive themarket lower as seller chase the market downward.

Thus, the current systems and methods may provide a trader informationfor understanding the strength of supply and demand in a market, asevidenced by the density of limit bids and offers. Such information mayindicate whether a market is more or less likely to trend orconsolidate, which may providing critical information on which a tradermay base his or her trading decisions.

Other advantages will be readily apparent to one having ordinary skillin the art from the following figures, descriptions, and claims.

BRIEF DESCRIPTION OF THE DRAWINGS

For a more complete understanding of the present invention and forfurther features and advantages, reference is now made to the followingdescription, taken in conjunction with the accompanying drawings, inwhich:

FIG. 1 illustrates an example trading system according to an embodimentof the present invention;

FIG. 2 illustrates an example graphical plot displaying the limit orderbook for the trading exchange for a particular product, according to oneembodiment of the invention;

FIG. 3 illustrates an example method of generating and displaying agraphical display of a limit order book for a particular product,according to one embodiment of the present invention;

FIG. 4 illustrates a method of calculating and/or displaying one or moremarket indicators, according to certain embodiments of the invention;

FIG. 5 illustrates an example table illustrating several example sets ofweights for limit orders at ten different market distances, according toparticular embodiments of the invention; and

FIG. 6 illustrates a chart indicating each of the example sets ofweights included in the table shown in FIG. 5.

DETAILED DESCRIPTION OF THE DRAWINGS

Example embodiments of the present invention and their advantages arebest understood by referring now to FIGS. 1 through 6 of the drawings,in which like numerals refer to like parts.

In general, a system is provided for analyzing and displaying a limitorder book of an electronic trading exchange in a manner that may beused by traders to make trading decisions. In certain embodiments, thesystem may record and graphically display each bid and offer (and/orother limit orders) entered onto the electronic trading exchange atvarious prices over a particular period of time, such as a period oftime from the present extending back a particular amount of time. Thegraphical display may be updated periodically, and in some embodiments,substantially in real time. In certain embodiments, the graphicaldisplay includes a plot indicating the price of the limit orders along afirst axis (e.g. vertical axis) and the time that the limit orders wereentered onto the market along a second axis (e.g. horizontal axis). Theplot may be illustrated as a “moving window” display that shifts alongthe horizontal axis over time. Thus, a trader viewing the graphicaldisplay of the limit order book may visualize various characteristics ofthe market, such as the number, size and/or density of bids and/oroffers are various prices over time. Thus, the trader may be able torecognize trends in the market, such as buying pressure or sellingpressure, for example.

In addition, in certain embodiments, the system may analyze the limitorder book of the electronic trading exchange at a particular instant orover a period of time to periodically calculate one or more marketindicators regarding the state of the limit order book. For example, thesystem may apply various algorithms to the set of limit orders currentlyon the trading exchange that has a price within a particular distancefrom a market price (such as the price of the best bid, best offer, or arecent trade, for example). In certain embodiments, the system mayweight each order in the set of limit orders based at least on thedistance of that order's price from the market price, calculate a totalbid score for the group of bid orders on the market and a total offerscore for the group of offer orders on the market, and subtract thetotal offer score from the total bid score (or vice versa) to determinea net market score. The net market score may provide a quick summary(e.g., a single number) of the state of the market, such as the extentof buying pressure or selling pressure currently in the market, forexample. The net market score may be displayed to the trader, either inconnection with or separate from the display of the limit order bookdiscussed above, and may be updated periodically. In some embodiments,the system may also calculate and display a net market score movingaverage based on a predetermined number of calculated net market scoresgoing back in time from the present.

In certain embodiments, various system parameters may be selected orotherwise controlled by a user, such as the trader or an administrator,in one example. For example, the user may select various parametersregarding the manner in which individual or groups of limit orders aregraphically displayed. As another example, the set of weights applied tolimit orders at various distances from the market price may be selectedby the user as desired. As another example, parameters for determiningwhich limit orders are included in the analysis of the limit order bookmay be selected by the user as desired. As yet another example, the usermay select the frequency that the one or more market indicators arecalculated. As yet another example, the user may select the number ofcalculated net market scores to be included in a net market score movingaverage displayed to the user.

FIG. 1 illustrates an example trading system 10 according to anembodiment of the present invention. As shown, system 10 may include oneor more trader terminals 12 coupled to a trading platform 14 by acommunications network 16. A trader 18 may include any entity, such asan individual, group of individuals or firm, that engages in tradingactivity via trading platform 14. For example, a trader 18 may be anindividual investor, a group of investors, a firm (e.g., a brokerage orbank), an institutional investor, a hedger, a speculator, or a marketmaker (i.e., an individual or firm that submits and/or maintains bothbid and ask orders simultaneously for the same instrument).

Traders 18 may place various trading orders 20 via trading platform 14to trade financial instruments, such as stocks or other equitysecurities, bonds, mutual funds, options, futures, derivatives, andcurrencies, for example. In some embodiments, trading orders 20 mayinclude limit orders 22 and/or one or more other types of orders 20,such as market orders, limit orders, stop loss orders, day orders, openorders, GTC (“good till cancelled”) orders, “good through” orders, an“all or none” orders, or “any part” orders, for example and not by wayof limitation. Generally, limit orders 22 may include bids and offers.In some embodiments, limit orders 22 may also include one or more othertypes of orders. For example, in certain embodiments, limit orders 22may include any one or more of the following types of orders:

(a) bid—passive commitment to purchase a particular product at aparticular price, the bid price;

(b) offer—passive commitment to sell a particular product at aparticular price, the offer price;

(c) buy order—aggressive order that lifts (or takes) a pending offer,thus initiating a trade; and

(d) sell order—aggressive order that hits a pending bid, thus initiatinga trade.

Trader terminals 12 may provide traders 18 access to engage in tradingactivity via trading platform 14. For example, a trader terminal 12 mayinclude a computer system and appropriate software to allow a trader 18to engage in trading activity via trading platform 14. As used in thisdocument, the term “computer” refers to any suitable device operable toaccept input, process the input according to predefined rules, andproduce output, for example, a personal computer, workstation, networkcomputer, wireless data port, wireless telephone, personal digitalassistant, one or more processors within these or other devices, or anyother suitable processing device.

A trader terminal 12 may include a trading order analysis module 26generally operable to analyze data and provide feedback (e.g., via agraphical user interface) regarding trading orders 20 placed on anelectronic trading market managed by trading platform 14. In theembodiments discussed herein, trading order analysis module 26 isgenerally operable to provide various functionality regarding theanalysis and/or other management of data regarding limit orders 22submitted to such an electronic trading market. For example, asdiscussed in greater detail below, trading order analysis module 26 maybe operable to receive data 28 regarding limit orders placed on anelectronic trading market, record such data 28 (at least temporarily),use such data 28 to generate graphical displays representing the limitorder book for the electronic trading market (such as a plot of limitorders 22 price versus time, for example), analyze such data 28 todetermine one or more market indicators regarding the limit order bookfor the electronic trading market, display such market indicators to atrader 18, and/or allow the trader 18 to control various parametersregarding the analysis and display of such data 28.

It should be understood that in other embodiments, trading orderanalysis module 26 may additionally or alternatively provide similarfunctionality regarding other types of trading orders 20. In addition,it should be understood that in certain embodiments, any or all of thefunctionality described herein as being provided by trading orderanalysis module 26 at trading terminal 12 may alternatively oradditionally be performed or provided by any other portion of tradingsystem 10, such as trading platform 14, communications network 16, orone or more servers associated with one or more trading terminals 12,such as servers associated with a trading firm (e.g., a brokerage orbank) or other collection of traders 18, for example. Thus, any relevantportion(s) of trading system 10 may include any suitable hardware and/orsoftware appropriate for performing or providing any or all of suchfunctionality.

Trading order analysis module 26 may include a processor 30, memory 32,and/or order analysis software 34 stored in memory 32. Processing unit32 may execute software 32 to provide any or all of the variousfunctions provided by trading order analysis module 26. Memory 32 mayalso store, at least temporarily, limit order data 28, which may bereceived from trading platform 14, as discussed below. Memory 32 may becoupled to processor 30 and may include one or more databases and othersuitable memory devices, such as one or more random access memories(RAMs), read-only memories (ROMs), dynamic random access memories(DRAMs), fast cycle RAMs (FCRAMs), static RAM (SRAMs),field-programmable gate arrays (FPGAs), erasable programmable read-onlymemories (EPROMs), electrically erasable programmable read-only memories(EEPROMs), microcontrollers, or microprocessors.

Trader terminal 12 may also include a display device 36, such as amonitor, screen, panel display, or any other suitable device operable todisplay information to a trader 18. In certain embodiments, displaydevice 36 may be operable to display a graphical user interface 38,which may be used to display various information regarding tradingsystem 10, such as output from trading order analysis module 26regarding limit order data 28, for example, as discussed herein.Graphical user interface 38 may include any suitable software or otherexecutable code for displaying such information via display device 36. Atrader terminal 12 may also include one or more human interfaces, suchas a mouse, keyboard, or pointer, for example, allowing a trader 18 toinput data for participating in trading activity associated with tradingplatform 14 and/or for selecting or otherwise controlling variousparameters regarding the analysis and display of such data 28.

Communications network 16 is a communicative platform operable toexchange data or information between trading platform 14 and both andtraders 18. Communications network 16 represents an Internetarchitecture in a particular embodiment of the present invention, whichprovides traders 18 with the ability to electronically execute trades orinitiate transactions to be delivered to an authorized exchange tradingfloor. Alternatively, communications network 16 could be a plain oldtelephone system (POTS), which traders 18 could use to perform the sameoperations or functions. Such transactions may be assisted by a brokerassociated with trading platform 14 or manually keyed into a telephoneor other suitable electronic equipment in order to request that atransaction be executed. In other embodiments, communications system 14could be any packet data network (PDN) offering a communicationsinterface or exchange between any two nodes in system 10. Communicationsnetwork 16 may alternatively be any local area network (LAN),metropolitan area network (MAN), wide area network (WAN), wireless localarea network (WLAN), virtual private network (VPN), intranet, or anyother appropriate architecture or system that facilitates communicationsin a network or telephonic environment.

Trading platform 14 may comprise a trading architecture that facilitatesthe management of one or more electronic trading exchanges for one ormore tradable instruments or products. In particular, trading platform14 may manage or facilitate the trading of trading orders 20, such aslimit orders 22 and/or one or more other types of orders 20. Tradingplatform 14 may be operable to receive limit orders 22 from traders 18and manage or process such limit orders 22 such that financialtransactions among and between traders 18 may be performed. Tradingplatform 14 may have a link or a connection to a market trading floor,or some other suitable coupling to any suitable element that allows forsuch transactions to be consummated.

Trading platform 14 may include a computer, a server, a managementcenter, a single workstation, or a headquartering office for any person,business, or entity that seeks to manage the trading of trading orders20. Accordingly, trading platform 14 may include any suitable hardware,software, personnel, devices, components, elements, or objects that maybe utilized or implemented for managing or administering one or moreelectronic trading exchanges. It should be understood that thefunctionality provided by trading platform 14 may be at least partiallymanual such that one or more humans may provide various functionalityassociated with trading platform 14.

As discussed above, trading order analysis module 26 may provide variousfunctionality regarding the analysis and/or management of limit orderdata 28, which may be received from trading platform 14, for example.For example, trading order analysis module 26 may receive limit orderdata 28 from trading platform 14 regarding limit orders 22 placed on anelectronic trading market managed by trading platform 14. Limit orderdata 28 may include any data regarding limit orders 22 placed on theelectronic trading market, such as the type of the limit order 22 (e.g.,bid, offer, hit, or take, for example), the price of the limit order 22(e.g., bid price or offer price), the size of the limit order 22, thetime the limit order 22 was received by trading platform 14 or enteredonto the relevant electronic trading market, the trader 18 that placedthe limit order 22, the account associated with the limit order 22,and/or an expiration time for the limit order 22, for example. Limitorder data 28 for a limit order 22 may also include informationregarding the status of the limit order 22, such as whether the limitorder 22 has been removed from the market, whether the limit order 22has entered into a trade state (i.e., is being executed with anothertrading order 20), the beginning and ending time of such a trade state,and/or the details of an executed trade, for example. In certainembodiments, trading platform 14 may communicate such limit order data28 to trading order analysis module 26 via communications network 16substantially in real time or otherwise.

Trading order analysis module 26 may then record such data 28 receivedfrom trading platform 14, at least temporarily, in memory 32 orotherwise, such that data 28 may be used for analyzing the limit orderbook for the particular product. Trading order analysis module 26 mayuse such received and/or recorded data 28 to generate a periodicallyupdated graphical display representing the limit order book for theparticular product, which may be displayed to a trader 18 via graphicaluser interface 38. For example, trading order analysis module 26 maygenerate a graphical plot 40 indicating (e.g., using various icons) theprice and time of each limit order 22 entered onto the trading exchangefor a particular period of time from the present extending back someamount of time. Trading order analysis module 26 may continuously orperiodically update the plot 40, which may include adding to the plotrepresentations (e.g., icons) of new limit orders 22 entered onto theexchange, removing from the plot representations (e.g., icons) of limitorders 22 removed from the exchange, or otherwise adding, removing,modifying and/or otherwise updating limit order data 28 to reflecttrading activity associated with trading orders 20. An example of suchplot 40, and an example method of generating such plot 40, are shown anddiscussed below with reference to FIGS. 2 and 3.

In certain embodiments, trading order analysis module 26 may analyze atleast a portion of the limit order data 28 received from tradingplatform 14 to calculate one or more market indicators 42 regarding thelimit order book for the trading exchange for the particular product.Trading order analysis module 26 may analyze all or a subset of thelimit orders 22 currently on the trading exchange to calculate suchmarket indicators 42. Trading order analysis module 26 facilitate orcause the display of such calculated market indicators 42 to a trader18, such as via graphical user interface 38. In certain embodiments inwhich trading order analysis module 26 generates one or more plots 40and calculates one or more market indicators 42, graphical userinterface 38 may display the one or more plots 40 concurrently with, orseparate from, the one or more market indicators 42. Example methods ofcalculating such market indicators 42 are discussed below with referenceto FIG. 4.

In certain embodiments, trading order analysis module 26 may provide aninterface allowing a trader 18 to control various parameters regardingthe analysis and display of limit order data 28. For example, tradingorder analysis module 26 may allow trader 18 to select one or more ofthe following:

(a) one or more parameters regarding the manner in which individual orgroups of limit orders are graphically displayed in a plot 40;

(b) the length of the “moving window” time period to be displayed byplot 40;

(c) the set of weights applied to limit orders 22 for calculating marketindicators 42;

(d) one or more parameters for determining which limit orders 22 aredisplayed in a plot 40 and/or are included in the calculation of one ormore market indicators 42;

(e) the frequency that the one or more market indicators 42 arecalculated and/or displayed; and/or

(f) the number of calculated net market scores to be included in variousmoving averages calculated and/or displayed to the user, such as a totalbid score moving average, a total offer score moving average, and/or anet market score moving average (for example, see Equations (9)-(13)below).

It should be understood that such parameters are provided as examplesonly and not by way of limitation.

Displaying a Limit Order Book

As discussed above, trading order analysis module 26 may generate one ormore graphical plots 40 indicating (e.g., using various icons) thestatus of the limit order book for a particular product based on limitorder data 28 received from trading platform 14.

FIG. 2 illustrates an example plot 40 displaying the limit order bookfor the trading exchange for a particular product, according to oneembodiment of the invention. Plot 40 indicates all or a subset of limitorders 22 associated with the trading exchange over a particular timeperiod, such as, for example, (a) all or a subset of limit orders 22entered onto the exchange during the particular time period, (b) all ora subset of limit orders 22 entered onto the exchange during theparticular time period and currently remaining on the exchange, or (c)all or a subset of limit orders 22 entered onto the exchange during theparticular time period and either currently remaining on the exchange ortraded during the particular time period. In some embodiments, limitorders 22 removed from the exchange, for particular reasons or for anyreason, may be removed from the plot 40.

As shown in FIG. 2, plot 40 may indicate the price and time of limitorders 22 using a plot 40 indicating the price of limit orders 22 alonga first (in this embodiment, the y-axis) axis and the time of limitorders 22 along a second axis (in this embodiment, the x-axis). The“time” of a limit order 22 may refer to any time defined by limit orderdata 18 regarding the limit order 22, such as the time that the limitorder 22 was received by trading platform 14 from the relevant trader 18or the time that the limit order 22 was entered onto the relevantexchange by trading platform 14, for example.

Each limit order 22, or a group of limit orders 22 at the same price andtime (i.e., limit orders 22 having the same location on plot 40), may berepresented by one or more icons 50. Icons 50 may include any type ofvisual representation, which may be defined by any one or more visualparameters, such as shape, size, color, brightness, transparency,opaqueness, and/or flashing, for example. In addition, in alternativeembodiments, icons 50 may indicate one or more parameters in a thirddimension. For example, plot 40 may be a three-dimensional plot in whicha third dimension is used to indicate one or more parameters such as thevolume of limit orders 22, the number of limit orders 22, and/or thenumber of different traders 18 having placed one or more limit orders 22at a particular time and price. Thus, in such embodiments, icons 50 mayhave a length (or height) in the third dimension indicating themagnitude of such parameters regarding the relevant limit order(s) 22.

As mentioned above, plot 40 shown in FIG. 2 may be a “moving window”display in which the displayed data (e.g. icons 50), shift along thetime axis (in this embodiment, horizontally). Thus, in this embodiment,an icon 50 representing a newly placed limit order enters onto plot 40on right side, shifts across plot 40 from right to left, and exit fromthe left side plot 40. The duration of time displayed in such a “movingwindow” plot 40 may be selected and/or modified by a trader 18 asdesired. Thus, the trader 18 may generally control the amount of datathey wish to be displayed at any given time.

In certain embodiments, different types of limit orders 22 may berepresented by different types of icons 50. Different types of icons 50may refer to icons 50 having at least one different visual parameter,such as those listed above, for example. For example, bids and offershave be represented by different types of icons 50. In certainembodiments including bids, offers, buy orders and sell orders,different types of icons 50 are used for bids, offers, buy orders andsell orders. In the particular example shown in FIG. 2, bids arerepresented by yellow triangles, offers are represented by bluediamonds, buy orders are represented by orange rectangles, and sellorders are represented by green rectangles. The duration of each tradeprocess or execution (e.g., work-up process) initiated by each buy orderis indicated by the length (along the x-axis) of the orange rectanglecorresponding to that buy order. Similarly, the duration of each tradeprocess or execution (e.g., work-up process) initiated by each sellorder is indicated by the length (along the x-axis) of the greenrectangle corresponding to that sell order. In addition, in theparticular example shown in FIG. 2, the completion of a trade initiatedby a buy order (which may be referred to as a “lift” or “take”) may beindicated by another icon 50, here, a small brown circle. Similarly, thecompletion of a trade initiated by a sell order (which may be referredto as a “hit”) may be indicated by another icon 50, here, a large redcircle. It should be understood that in other embodiments, any one ormore types of icons 50 may be used to represent various types of limitorders 22 and/or transactions or trading events regarding such limitorders 22.

As another example, limit orders 22 placed by different types of traders18 and/or associated with different types of trading accounts may berepresented by different types of icons 50. For example, different typesof traders 18 may include one or more of the following: an individualinvestor, a group of investors, a firm (e.g., a brokerage or bank), aninstitutional investor, a hedger, a speculator, a market maker, and anon-market maker. Any number of different types of icons 50 may be usedto distinguish limit orders 22 placed by any of such different types oftraders 18.

As another example, the relative size of each limit orders 22 may beindicated by one or more visual parameters of the relevant icon 50 usedfor that limit order 22. For example, the relative size of each limitorders 22 may be represented by the shape, size, color, brightness,transparency, opaqueness, flashing and/or three-dimensional magnitude ofthe relevant icon 50.

As another example, the market distance of each limit order 22 may beindicated by one or more visual parameters of the relevant icon 50 usedfor that limit order 22. For example, the market distance of each limitorder 22 may be represented by the shape, size, color, brightness,transparency, opaqueness, and/or flashing of the relevant icon 50. Asused herein, the “market distance” of a limit order 22 is defined as thedifference between the price of the limit order 22 and a market price.The market price may be any price generally representing the currentmarket for the relevant product, such as, or at least based on, (a) theprice of the best bid or the best offer on the exchange or (b) the priceof one or more recently executed trades, for example. For example, asthe market distance of limit orders 22 decreases, the size, brightness,or opaqueness of the corresponding icons 50 may decrease, or thetransparency of the corresponding icons 50 may increase.

In certain embodiments, only limit orders 22 within a particular marketdistance at the time of each limit order 22 are displayed on plot 40.For example, in one embodiment, only limit orders 22 within a particularnumber of price increments (e.g., ticks) from a current market price aredisplayed on plot 40. Thus, in such embodiments, significant outliersmay be excluded from plot 40.

Multiple limit orders 22 at the same price and time (i.e., at the samelocation on plot 40) may be represented in any suitable manner toindicate the total size and/or the number of such multiple limit orders22. In certain embodiments, a single icon 50 is used to represent themultiple limit orders 22, and one or more visual parameters of the icon50 are varied to indicate the total size and/or the number of suchmultiple limit orders 22. For example, the total size of multiple limitorders 22 at a particular price and time (i.e., at a particular locationon plot 40) may be indicated by the size, color, brightness,transparency, opaqueness and/or three-dimensional magnitude of the icon50. Similarly, the number of the multiple limit orders 22 at theparticular price and time (i.e., at a particular location on plot 40)may be indicated by such parameters of icon 50. In a particularembodiment, icons 50 representing individual limit orders 22 are atleast partially transparent and displayed on top of each other such thateach additional limit order 22 at the same price decreases thetransparency (or increases the color, brightness, opaqueness orthree-dimensional magnitude) of the icon 50 representing the multiplelimit orders 22.

A graphical display of the limit order book for a particular product,such as plot 40 shown in FIG. 2, may provide a trader 18 variousinformation regarding the current or recent limit order book. Forexample, plot 40 or similar graphical displays may give a trader 18 anindication or characterization of the overall volume of limit orders 22,the number of traders 18 and/or the density of limit orders 22 atvarious prices on each side of the market. Thus, plot 40 or similargraphical displays may give a trader 18 a holistic view orcharacterization of the limit order book for the product. Such visualinformation or characterizations may allow a trader 18 to relativelyquickly and accurately determine or get a sense of the pressure on eachside of the market for the product (i.e., the buying pressure and/orselling pressure on the product). The trader 18 may be able to use suchinformation to make trading activity decisions, such as whether to buyor sell the product or wait, for example. For example, if the trader 18identifies a relatively high density of bids entering the market at ornear the current market price, the trader 18 may predict that the marketprice is likely to rise (or at least not fall) in the near future, andthe trader 18 may act accordingly. Similarly, if the trader 18identifies a relatively high density of offers entering the market at ornear the current market price, the trader 18 may predict that the marketprice is likely to fall (or at least not rise) in the near future, andthe trader 18 may act accordingly.

Trading order analysis module 26 and/or graphical user interface 38 mayupdate plot 40 at any suitable frequency and/or in response toparticular events. For example, plot 40 may be updated periodically atregular intervals, such as every 0.1 second, every 0.5 second, everysecond or every three seconds, for example. As another example, plot 40may be updated each time new limit order data 28 is received, or eachtime a particular number of data items 28 are received. In somesituations, the frequency of updating plot 40 may be limited by theprocessing speed of the relevant computer hardware and/or softwaresystems.

As discussed above, in certain embodiments, trading order analysismodule 26 may provide an interface allowing a trader 18 to controlvarious parameters regarding the display of limit order data 28. Forexample, trading order analysis module 26 may provide an interfaceallowing a trader 18 to control (a) which icons 50 are used forparticular types of limit orders 22, (b) any one or more of the visualparameters for such icons 50 discussed above, (c) the manner in whichmultiple limit orders 22 at the same price and time are displayed, (d)which limit orders 22 are displayed in plot 40 (e.g., the maximum marketdistance for displayed limit orders 22), (e) the range of prices and/orthe size of price increments displayed along the y-axis of plot 40, (f)the period of time and/or the size of time increments displayed alongthe x-axis of plot 40, and/or (g) the frequency at which plot 40 isupdated, for example.

FIG. 3 illustrates an example method of generating and displaying agraphical display of a limit order book for a particular product,according to one embodiment of the present invention. In particular, anexample method of generating plot 40 shown in FIG. 2 or a similar plotis discussed below. In this particular example, plot 40 is periodicallyupdated at regular time intervals.

At step 100, trading order analysis module 26 receives limit order data28 for a particular product from trading platform 14 during a particulartime interval. Such data 28 may be received via communications network16. Such data 28 may include data regarding one or more new limit orders22, transactions regarding existing limit orders 22, or other dataregarding existing limit orders 22 or other trading orders 20. At step102, trading order analysis module 26 stores at least a portion of thereceived limit order data 28 in memory 32.

At step 104, trading order analysis module 26 may generate an updatedplot 40 reflecting the limit order data 28 received during theparticular time interval, which may include adding icons 50 representingone or more new limit orders 22, adding or modifying icons 50representing one or more transactions regarding existing limit orders22, removing one or more icons 50 representing limit orders 22 that havebeen removed, or otherwise adding, removing or modifying one or moreicons 50 representing new or existing limit orders 22. At step 106,graphical user interface 38 may display the updated plot 40 on anelectronic display device 36. The method may then return to repeat steps100-106 for the next time interval. In this manner, the displayed plot40 may be periodically (e.g., substantially continuously or otherwise)updated to reflect newly received limit order data 28 regarding tradingactivity for the particular product. A trader 18 may utilize thedisplayed plot 40 for making various trading determinations, such asdescribed above regarding FIG. 2.

Analyzing a Limit Order Book

As discussed above, trading order analysis module 26 may analyze atleast a portion of a limit order book to calculate one or more marketindicators 42 regarding the limit order book that may be used by atrader 18 for making various trading determinations. In general, suchanalysis may include analyzing at least a portion of the limit orders 22currently on the exchange but not at the current best, or market, price.Limit orders 22 included in the analysis may be weighted based at leaston the market distance of such limit orders 22, wherein limit orders 22having prices close to a market price (i.e., small market distances) areweighted greater than limit orders 22 having prices further from themarket price (i.e., greater market distances).

FIG. 4 illustrates a general method of calculating and/or displaying oneor more market indicators 42, according to certain embodiments of theinvention. Such method may be periodically performed by trading orderanalysis module 26. In particular, the method discussed below maycomprise the method for each periodic calculation, which may be repeatedat each time period. At step 200, a subset of limit orders 22 to beincluded in the periodic calculation is identified. Trading orderanalysis module 26 may identify such subset of limit orders 22 accordingto any suitable rules or criteria, such as one or more rules or criteriapre-selected by a trader 18, for example. In some embodiments, all limitorders 22 currently on the exchange may be included in the analysis. Inother embodiments, a portion of the limit orders 22 currently on theexchange may be excluded from the analysis. For example, limit orders 22outside of a predetermined market distance (i.e., significant outliers)may be excluded from the analysis. Such predetermined market distancemay be determined by trading order analysis module 26 or selected by atrader 18 or other user.

At step 202, a market distance for each of the limit orders 22 includedin the analysis may be determined. As discussed above, the marketdistance of each limit order 22 may be the difference between the priceof that limit order 22 and a market price, which may be the price of thebest bid or the best offer on the exchange or the price of one or morerecently executed trades, for example.

At step 204, each of the limit orders 22 included in the analysis may beweighted based at least on the determined market distance for that limitorder 22. In certain embodiments, the smaller the market distance of alimit order 22, the greater the weight applied to that limit order 22,and vice versa. Various weighting systems are discussed in greaterdetail below.

At step 206, one or more market indicators 42 are calculated based atleast on the weighting of each of the limit orders 22 included in theanalysis. In certain embodiments or for calculating certain marketindicators 42, the weighting is applied to the volume, or size, of thelimit orders 22. For example, the volume of each limit order 22 may bemultiplied by the weight determined for that limit order 22, and theresulting weighted order volumes may be used in the calculations of oneor more market indicators 42. In other embodiments or for othercalculating market indicators 42, the weighting is applied to the numberof limit orders 22 or traders 18 having limit orders 22 at each pricelevel or market distance. In other words, the weighting may be appliedto the density of limit orders 22 at different price levels or marketdistances. Each limit order 22 at a particular price or market distancemay have the same weighted value for purposes of calculating certainmarket indicators 42. For example, the number of limit orders 22 at eachparticular price level or market distance may be multiplied by theweight determined for that price level or market distance, and theresulting weighted numbers may be used in the calculations of one ormore market indicators 42. In other embodiments or for other calculatingmarket indicators 42, both the volume, or size, of each limit order andthe number of limit orders 22 at each price level or market distance maybe weighted and used for calculating certain market indicators 42. Thus,such market indicators 42 may depend on a combination of (a) the number,or density, of limit orders at each price level or market distance, and(b) the volume, or size, of each limit order 22.

Example market indicators 42 may include one or more of the following:(a) a total bid score, (b) a total bid score moving average, (c) a totaloffer score, (d) a total offer score moving average, (e) a net marketscore, and/or (f) a net market score moving average. The net marketscore may provide an indication of whether their is a net sellingpressure or a net buying pressure in the relevant market, as well as themagnitude of such selling or buying pressure. Example algorithms forcalculating such market indicators 42 are discussed below in the sectionentitled “Calculating Market Indicators.”

At step 208, one or more of the market indicators 42 may be displayed tothe trader 18, such as using graphical user interface 38. Such marketindicators 42 may or may not be displayed in connection with plot 40 oranother similar display of the limit order book. Steps 200 through 208may be periodically repeated at each time interval such that the one ormore market indicators 42 may be periodically updated to reflect thecurrent state of the market.

Weighting of Limit Orders

At discussed above, each limit order 22 included in limit order bookanalysis may be weighted based at least on the determined marketdistance for that limit order 22. In some embodiments, the weightingsystem includes an algorithm for weighting each limit order 22 based onthe market distance. For example, each limit order 22 may be weightedbased on one of following equations or variations thereof:Weight=C1*C2^(−(C3)*^(MD))  (1)Weight=C1*MD ^(−C2)  (2)Weight=−C1*ln(MD)+C2  (3)Weight=C1*MD  (4)wherein MD is the market distance for the relevant limit order 22, andC1, C2 and C3 are any suitable constants (including 0 or 1).

In other embodiments, the weighting system includes a predeterminedweight for each of a plurality of market distances. FIG. 5 illustrates atable 250 illustrating several example sets of weights for limit orders22 at ten different market distances. Column 252 indicates the marketdistance, wherein “1” is the shortest market distance and “10” is thegreatest market distance included in the analysis. Columns 254, 256,258, 260, and 262 indicate the relative weighting for limit orders 22 ateach of the ten market distances. FIG. 6 illustrates a chart 280indicating each of the example sets of weights shown in columns 254-262of table 250 of FIG. 3. As shown in FIG. 6, each of the three examplesets of weights increase exponentially with decreasing market distance.

The weighting system, or at least parameters of the weighting system,may be determined by trading order analysis module 26 and/or selected bya trader 18 or other user. For example, in some embodiments, the trader18 or other user may be provided an interface to select a particularweighting algorithm (such as one of algorithms 1-4 shown above, forexample), select constants for such an algorithm, or select a particularset of weights (such as one of the sets of weights shown in columns254-262 of table 250 of FIG. 5, for example). Thus, the trader 18 mayconfigure various aspects of the weighting system as desired.

Calculating Market Indicators

In certain embodiments, the following algorithm, or variations of suchalgorithms may be used to determine one or more of the following marketindicators 42: (a) a total bid score, (b) a total bid score movingaverage, (c) a total offer score, (d) a total offer score movingaverage, (e) a net market score, and/or (f) a net market score movingaverage.

The total bid score may provide a measure of the overall buying pressurein the market for the relevant product. In some embodiments, the totalbid score may be equal to the total sum of all weighted bids in theanalysis, wherein each weighted bid is equal to the bid price for eachbid multiplied by the weighting for that bid. Thus, the total bid scoremay be represented as:Total bid score=Σ(bid price*weighting)  (5)

In other embodiments, the total bid score may be equal to the total sumof the weighted bid densities at each price level or market distanceincluded in the analysis, wherein the bid density for a particular pricelevel or market distance is equal to either (a) the number of bids (ordifferent traders 18 having existing bids) at that particular pricelevel or market distance multiplied by the weighting for that particularprice level or market distance or (b) the volume, or size, of bids atthat particular price level or market distance multiplied by theweighting for that particular price level or market distance. Thus, thetotal bid score may be represented as:Total bid score=(number of bids at market distance*weighting for thatmarket distance)  (6a)orTotal bid score=(volume of bids at market distance*weighting for thatmarket distance)  (6b)

Similarly, the total offer score may provide a measure of the overallselling pressure in the market for the relevant product. In someembodiments, the total offer score may be equal to the total sum of allweighted offers in the analysis, wherein each weighted offer is equal tothe offer price for each offer multiplied by the weighting for thatoffer. Thus, the total offer score may be represented as:Total offer score=Σ(offer price*weighting)  (7)

In other embodiments, the total offer score may be equal to the totalsum of the weighted offer densities at each price level or marketdistance included in the analysis, wherein the offer density for aparticular price level or market distance is equal to either (a) thenumber of offers (or different traders 18 having existing offers) atthat particular price level or market distance multiplied by theweighting for that particular price level or market distance, or (b) thevolume, or size, of offers (or different traders 18 having existingoffers) at that particular price level or market distance multiplied bythe weighting for that particular price level or market distance. Thus,the total offer score may be represented as:Total offer score=Σ(number of offers at market distance*weighting forthat market distance)  (8a)orTotal offer score=Σ(volume of offers at market distance*weighting forthat market distance)  (8b)

The total bid score moving average may provide a measure of the overallbuying pressure in the market for the relevant product that captures alarger period of time than an individual total bid score, which may bedesirable in some instances. In some embodiments, the total bid scoremoving average may be the average of any particular number ofperiodically calculated total bid scores, which may be represented as:Total bid score moving average=(sum of total bid scores)/(number oftotal bid scores)  (9)

Similarly, the total offer score moving average may provide a measure ofthe overall buying pressure in the market for the relevant product thatcaptures a larger period of time than an individual total offer score,which may be desirable in some instances. In some embodiments, the totaloffer score moving average may be the average of any particular numberof periodically calculated total offer scores, which may be representedas:Total offer score moving average=(sum of total offer scores)/(number oftotal offer scores)  (10)

As discussed above, the net market score may provide an indication ofwhether their is a net selling pressure or a net buying pressure in therelevant market, as well as the magnitude of such selling or buyingpressure. In some embodiments, the net market score may be equal to thedifference of the total bid score and the total offer score, which maybe represented as:Net market score=total bid score−total offer score  (11)orNet market score=total offer score−total bid score  (12)

The met market score moving average may provide a measure of the overallnet market pressure that captures a larger period of time than anindividual net market score, which may be desirable in some instances.In some embodiments, the net market score moving average may be theaverage of any particular number of periodically calculated net marketscores, which may be represented as:Net market score moving average=(sum of net market scores)/(number ofnet market scores)  (13)

Modifications or variations may be made to any of the algorithmsdiscussed above, such as any of Equations 1-13, without departing fromthe scope of the invention. In addition, modifications, additions, oromissions may be made to any of the methods discussed above, such as themethods discussed above with reference to FIGS. 3 and 4, withoutdeparting from the scope of the invention. Additionally, any of thesteps of such methods may be performed in any suitable order, orsimultaneously or non-simultaneously, without departing from the scopeof the invention.

Accounting for Hidden Order Size

In some markets, the displayed size of a trading order 20 may notrepresent the actual size of the order. For example, a trader 18 mayrequest that the displayed size for a particular trading order 20 may beless than the full size of the order, such that the full size of theorder 20 is hidden from other market participants. The portion of theorder 20 that is not displayed to the market may be referred to as the“hidden order size.”

Because the calculation of one or more market indicators 42 may dependon the displayed volume, or size, of one or more orders 20 (such asshown in Equations 6b and 8b for example), such hidden order size forsuch orders 20 may affect the accuracy of such calculations. In otherwords, hidden order size for orders 20 may affect the extent to whichparticular market indicators 42 are accurate indications of the state ofthe market. Thus, in some embodiments, trading order analysis module 26may account for, or attempt to account for, hidden order size of orders20 used in the calculation of market indicators 42.

For example, in some embodiments, trading order analysis module 26 mayestimate a hidden order size for various displayed orders 20 having anunknown hidden order size based on the known hidden order size of one ormore other orders 20, such as one or more recently traded orders 20.Trading order analysis module 26 may become aware of the actual size oftrading orders 20, including any hidden order size, when trading orders20 are traded or enter into a trading state. Thus, trading orderanalysis module 26 may receive information identifying the hidden ordersize for trading orders 20 that have traded or entered into a tradingstate, and use such information to estimate a hidden order size fordisplayed orders 20 still on the exchange, each of which may or may nothave an unknown hidden order size. Trading order analysis module 26 maythen adjust the volume, or size, of some or all of such displayedtrading orders 20 for the purposes of calculating particular marketindicators 42. For example, in certain embodiments, trading orderanalysis module 26 may determine relationships between the displayedsize and the hidden order size for one or more trading orders 20 thathave traded or entered into a trading state. Trading order analysismodule 26 may then use such determined relationships to adjust thevolume, or size, of some or all of such displayed trading orders 20 forthe purposes of calculating particular market indicators 42. The volume,or size, of particular displayed trading orders 20 may be adjusted on anindividual basis or on a group basis. For example, the volume orindividual trading orders 20 may be adjusted based on any number ofparameters, such as the displayed size of the order 20, the type oforder 20 (e.g., particular types of orders 20 may be determined to bestatistically associated with particular hidden order sizes, the trader18 from which the order 20 was received (e.g., particular traders 18 maybe determined to be statistically associated with particular hiddenorder sizes), and whether the order 20 is a buy or sell order, thedisplayed size of the order 20, for example.

Although an embodiment of the invention and its advantages are describedin detail, a person skilled in the art could make various alterations,additions, and omissions without departing from the spirit and scope ofthe present invention as defined by the appended claims.

1. An apparatus comprising: at least one processor; and at least onememory electronically coupled to the at least one processor that storesinstructions which, when executed by the at least one processor, directthe at least one processor to: receive data regarding a plurality oflimit orders entered onto an electronic market, the data regarding eachlimit order comprising a respective price and a respective timeassociated with the respective limit order; store the received data foreach of the plurality of limit orders; for each of at least two of theplurality of limit orders: determine a market distance, the marketdistance comprising a difference between the price of the respectivelimit order and a market price; determine a weighting based at least onthe determined market distance for the respective limit order; calculateone or more market indicators based at least in part on the weighting ofeach of the at least two limit orders; and cause the one or more marketindicators to be displayed in a graphical user interface.
 2. Theapparatus of claim 1, in which the instructions, when executed by the atleast one processor, further direct the at least one processor to:periodically calculate and cause to be displayed the one or more marketindicators based on market distances determined for one or more of theplurality of limit orders.
 3. The apparatus of claim 2, in which eachperiodic calculation of the one or more market indicators comprises:determining a subset of limit orders for that periodic calculationincluding one or more bids and one or more offers, each bid and eachoffer comprising a size; for each of the one or more bids, multiplyingthe weighting for that bid with the size of that bid to determine aweighted bid score for that bid; summing the weighted bid scores for theone or more bids to determine a total bid score; for each of the one ormore offers, multiplying the weighting for that offer with the size ofthat offer to determine a weighted offer score for that offer; summingthe weighted offer scores for the one or more offers to determine atotal offer score; and calculating the difference between the total bidscore and the total offer score to determine a net market score.
 4. Theapparatus of claim 3, in which the instructions, when executed by the atleast one processor, further direct the at least one processor to:display the one or more periodically calculated market indicators in agraphical user interface comprises: display the net market score in thegraphical user interface.
 5. The apparatus of claim 3, in which theinstructions, when executed by the at least one processor, furtherdirect the at least one processor to: calculate a net market scoremoving average by calculating a moving average of a predetermined numberof periodically calculated net market scores for the electronic market;and display the net market score moving average in a graphical userinterface.
 6. The apparatus of claim 3, in which displaying the one ormore periodically calculated market indicators in a graphical userinterface comprises: displaying at least one of the total bid score andthe total offer score in the graphical user interface.
 7. The apparatusof claim 3, in which the instructions, when executed by the at least oneprocessor, further direct the at least one processor to: calculate atotal bid score moving average by calculating a moving average of apredetermined number of periodically calculated total bid scores;calculate a total offer score moving average by calculating a movingaverage of a predetermined number of periodically calculated total offerscores; and display at least one of the total bid score moving averageand the total offer score moving average in the graphical userinterface.
 8. The apparatus of claim 1, in which the act of calculatingthe one or more market indicators comprises: updating one or more marketindicators based on changes in a subset of limit orders currently on theelectronic market.
 9. The apparatus of claim 1, in which theinstructions, when executed by the at least one processor, furtherdirect the at least one processor to: periodically calculate and causeto be displayed the one or more market indicators based on marketdistances determined for one or more of the plurality of limit ordersdetermined to be currently on the electronic market at the time of theperiodic calculation, in which the one or more of the plurality of limitorders used to determine market distances for one of the periodiccalculations is different than the one or more of the plurality of limitorders used to determine market distances for another of the periodiccalculations.
 10. The apparatus of claim 1, in which each limit ordercomprises a respective size and is associated with a trading entity, andin which the instructions, when executed by the at least one processor,further direct the at least one processor to: determine the number ofdifferent trading entities associated with one or more limit orders ateach of a plurality of prices; in which the act of calculating the oneor more market indicators comprises, for each of the plurality ofprices, multiplying the number of different trading entities associatedwith one or more limit orders at that price with the weighting for anyof the limit orders at that price.
 11. The apparatus of claim 1, inwhich the instructions, when executed by the at least one processor,further direct the at least one processor to: prior to the act ofcalculating the one or more market indicators, determining that the atleast two limit orders have a price within a particular market distance.12. The apparatus of claim 1, in which the instructions, when executedby the at least one processor, further direct the at least one processorto receive from a user a selection of a particular market distance; andin which the at least two limit orders are determined to have a pricethat is within the particular market distance.
 13. The apparatus ofclaim 1, in which: each limit order comprises a respective size; and theact of calculating the one or more market indicators comprisesmultiplying the weighting for each respective limit order with the sizeof the respective limit order.
 14. The apparatus of claim 1, in whicheach limit order comprises a respective size, and in which theinstructions, when executed by the at least one processor, furtherdirect the at least one processor to: determine the number of limitorders at each of a plurality of prices; and in which the act ofcalculating the one or more market indicators comprises, for each of theplurality of prices, multiplying the number of limit orders at thatprice with the weighting for any of the limit orders at that price. 15.The apparatus of claim 1, in which the act of determining a weightingfor each of the at least two limit orders based at least on thedetermined market distance for that limit order comprises using aweighting system in which market distance and weight are relatedexponentially.
 16. The apparatus of claim 1, in which the act ofdetermining a weighting for each of the at least two limit orders basedat least on the determined market distance for that limit ordercomprises using a weighting system in which market distance and weightare inversely related.
 17. The apparatus of claim 1, in which the act ofdetermining a weighting for each of the at least two limit orders isbased on a plurality of weights, in which the instructions, whenexecuted by the at least one processor, further direct the at least oneprocessor to: receive from a user a selection of one or more of theplurality of weights.
 18. The apparatus of claim 1, in which: theplurality of limit orders comprises one or more bids and one or moreoffers; the market price for a bid order is the price of the best bidcurrently on the electronic market; and the market price for a sellorder is the price of the best offer currently on the electronic market.19. The apparatus of claim 1, in which the market price is determinedbased on one or more recent trades between limit orders on theelectronic market.
 20. The apparatus of claim 1, in which the marketprice changes substantially in real time.
 21. The apparatus of claim 1,in which each limit order has an associated displayed size, and in whichthe instructions, when executed by the at least one processor, furtherdirect the at least one processor to: determine a hidden size for one ormore particular limit orders; determine a relationship between thedisplayed size and the hidden size for the one or more particular limitorders; and for the purposes of the calculating the one or more marketindicators, adjust the displayed size of at least a portion of the limitorders on the electronic market based on the determined relationshipbetween the displayed size and the hidden size for the one or moreparticular limit orders.
 22. The apparatus of claim 1, in which theinstructions, when executed by the at least one processor, furtherdirect the at least one processor to: receive data regarding a pluralityof limit orders entered onto an electronic market in substantially realtime, the data regarding each limit order including a price and a timeassociated with that limit order, the plurality of limit orderscomprising the at least two limit orders, the plurality of limit orderscomprising a plurality of bids, a plurality of offers, a plurality ofbuy orders, and a plurality of sell orders, each buy order comprising abid that aggresses on an existing offer to initiate a trade and eachsell order comprising an offer that aggresses on an existing bid toinitiate a trade; based on the received data, generate a graphicaldisplay comprising an icon associated with each of the plurality oflimit orders, the graphical display indicating, for each of theplurality of limit orders entered into the electronic market within aperiod of time, the price and the time associated with that limit order,wherein the price associated with each limit order is indicated by afirst axis of the graphical display and the time associated with eachlimit order is indicated by a second axis of the graphical display, thegraphical display further indicating the market distance of at least aportion of the plurality of limit orders order by at least one of theshape, size, color, brightness, transparency, opaqueness, and flashingof an icon corresponding to the respective limit order; and display thegraphical display at the electronic display device, in which thegraphical display indicates each bid using a first type of identifier,each offer using a second type of identifier, each buy order using athird type of identifier, and each sell order using a fourth type ofidentifier, wherein each of the first, second, third and fourth types ofidentifiers are visually distinct from each other.
 23. A methodcomprising: receiving, by at least one processor, data regarding aplurality of limit orders entered onto an electronic market, the dataregarding each limit order comprising a respective price and arespective time associated with the respective limit order; storing, inat least one memory electronically coupled to the at least oneprocessor, the received data for each of the plurality of limit orders;for each of at least two of the plurality of limit orders: determining,by the at least one processor, a market distance, the market distancecomprising a difference between the price of the respective limit orderand a market price; determining, by the at least one processor, aweighting based at least on the determined market distance for therespective limit order; calculating, by the at least one processor, oneor more market indicators based at least in part on the weighting ofeach of the at least two limit orders; and causing, by the at least oneprocessor, the one or more market indicators to be displayed in agraphical user interface.
 24. The method of claim 23, furthercomprising: periodically calculating and causing to be displayed the oneor more market indicators based on market distances determined for oneor more of the plurality of limit orders.
 25. The method of claim 24, inwhich each periodic calculation of the one or more market indicatorscomprises: determining a subset of limit orders for that periodiccalculation including one or more bids and one or more offers, each bidand each offer comprising a size; for each of the one or more bids,multiplying the weighting for that bid with the size of that bid todetermine a weighted bid score for that bid; summing the weighted bidscores for the one or more bids to determine a total bid score; for eachof the one or more offers, multiplying the weighting for that offer withthe size of that offer to determine a weighted offer score for thatoffer; summing the weighted offer scores for the one or more offers todetermine a total offer score; and calculating the difference betweenthe total bid score and the total offer score to determine a net marketscore.
 26. The method of claim 25, further comprising: displaying theone or more periodically calculated market indicators in a graphicaluser interface comprises: displaying the net market score in thegraphical user interface.
 27. The method of claim 25, furthercomprising: calculating a net market score moving average by calculatinga moving average of a predetermined number of periodically calculatednet market scores for the electronic market; and displaying the netmarket score moving average in a graphical user interface.
 28. Themethod of claim 25, in which displaying the one or more periodicallycalculated market indicators in a graphical user interface comprises:displaying at least one of the total bid score and the total offer scorein the graphical user interface.
 29. The method of claim 25, furthercomprising: calculating a total bid score moving average by calculatinga moving average of a predetermined number of periodically calculatedtotal bid scores; calculating a total offer score moving average bycalculating a moving average of a predetermined number of periodicallycalculated total offer scores; and displaying at least one of the totalbid score moving average and the total offer score moving average in thegraphical user interface.
 30. The method of claim 23, furthercomprising: periodically calculating and causing to be displayed the oneor more market indicators based on market distances determined for oneor more of the plurality of limit orders determined to be currently onthe electronic market at the time of the periodic calculation, in whichthe one or more of the plurality of limit orders used to determinemarket distances for one of the periodic calculations is different thanthe one or more of the plurality of limit orders used to determinemarket distances for another of the periodic calculations.
 31. Themethod of claim 23, in which each limit order comprises a respectivesize and is associated with a trading entity, further comprising:determining the number of different trading entities associated with oneor more limit orders at each of a plurality of prices; in which the actof calculating the one or more market indicators comprises, for each ofthe plurality of prices, multiplying the number of different tradingentities associated with one or more limit orders at that price with theweighting for any of the limit orders at that price.
 32. The method ofclaim 23, further comprising: prior to the act of calculating the one ormore market indicators, determining that the at least two limit ordershave a price within a particular market distance.
 33. The method ofclaim 23, further comprising: receiving from a user a selection of aparticular market distance, in which the at least two limit orders aredetermined to have a price that is within the particular marketdistance.
 34. The method of claim 23, in which: each limit ordercomprises a respective size; and the act of calculating the one or moremarket indicators comprises multiplying the weighting for eachrespective limit order with the size of the respective limit order. 35.The method of claim 23, in which each limit order comprises a respectivesize, further comprising: determining the number of limit orders at eachof a plurality of prices; and in which the act of calculating the one ormore market indicators comprises, for each of the plurality of prices,multiplying the number of limit orders at that price with the weightingfor any of the limit orders at that price.
 36. The method of claim 23,in which the act of determining a weighting for each of the at least twolimit orders based at least on the determined market distance for thatlimit order comprises using a weighting system in which market distanceand weight are inversely related.
 37. The method of claim 23, in whichthe act of determining a weighting for each of the at least two limitorders is based on a plurality of weights, further comprising: receivingfrom a user a selection of one or more of the plurality of weights. 38.The method of claim 23, in which: the plurality of limit orderscomprises one or more bids and one or more offers; the market price fora bid order is the price of the best bid currently on the electronicmarket; and the market price for a sell order is the price of the bestoffer currently on the electronic market.
 39. The method of claim 23, inwhich the market price is determined based on one or more recent tradesbetween limit orders on the electronic market.
 40. The method of claim23, in which each limit order has an associated displayed size, furthercomprising: determining a hidden size for one or more particular limitorders; determining a relationship between the displayed size and thehidden size for the one or more particular limit orders; and for thepurposes of the calculating the one or more market indicators, adjustthe displayed size of at least a portion of the limit orders on theelectronic market based on the determined relationship between thedisplayed size and the hidden size for the one or more particular limitorders.
 41. The method of claim 23, further comprising: receiving dataregarding a plurality of limit orders entered onto an electronic marketin substantially real time, the data regarding each limit orderincluding a price and a time associated with that limit order, theplurality of limit orders comprising the at least two limit orders, theplurality of limit orders comprising a plurality of bids, a plurality ofoffers, a plurality of buy orders, and a plurality of sell orders, eachbuy order comprising a bid that aggresses on an existing offer toinitiate a trade and each sell order comprising an offer that aggresseson an existing bid to initiate a trade; based on the received data,generating a graphical display comprising an icon associated with eachof the plurality of limit orders, the graphical display indicating, foreach of the plurality of limit orders entered into the electronic marketwithin a period of time, the price and the time associated with thatlimit order, wherein the price associated with each limit order isindicated by a first axis of the graphical display and the timeassociated with each limit order is indicated by a second axis of thegraphical display, the graphical display further indicating the marketdistance of at least a portion of the plurality of limit orders order byat least one of the shape, size, color, brightness, transparency,opaqueness, and flashing of an icon corresponding to the respectivelimit order; and displaying the graphical display at the electronicdisplay device, in which the graphical display indicates each bid usinga first type of identifier, each offer using a second type ofidentifier, each buy order using a third type of identifier, and eachsell order using a fourth type of identifier, wherein each of the first,second, third and fourth types of identifiers are visually distinct fromeach other.